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doris · 2020年08月30日

问一道题：NO.PZ2016082406000084

  1. FRM II
  2. Credit Risk Measurement And Management

问题如下：

A risk analyst is trying to estimate the credit VAR for a portfolio of two risky bonds. The credit VAR is defined as the maximum unexpected loss at a confidence level of 99.9% over a one-month horizon. Assume that each bond is valued at $500,000 one month forward, and the one-year cumulative default probability is 2% for each of these bonds. What is the best estimate of the credit VAR for this portfolio, assuming no default correlation and no recovery?

选项：

A.

$841

B.

$1,682

C.

$998,318

D.

$498,318

解释：

ANSWER: D

As in the previous question, the monthly default probability is 0.00168. The following table shows the distribution of credit losses.

This gives an expected loss of $1,682, the same as before. Next, $500,000 is the WCL at a minimum 99.9% confidence level because the total probability of observing a number equal to or lower than this is greater than 99.9%. The credit VAR is then $500,000 - $1,682 = $498,318.

请问，这个组合的EL难道不是固定的，为什么会随着不同的情况变化？因为这两个bond是没有default correlation的，然后直接看成一个100万的bond不可以吗？直接求EL

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1 个答案

袁园_品职助教 · 2020年08月30日

同学你好！

因为是两个bond， no default correlation 表示一个bond是否default 对另一个bond 的default 情况没有影响

你说的直接看成一个 100万的bond那不就表示他们 要么都不default，要么一起default么？这样的意思我理解代表 default correlation = 1,

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$1,682 $998,318 $498,318 ANSWER: in the previous question, the monthly fault probability is 0.00168. The following table shows the stribution of cret losses. This gives expecteloss of $1,682, the same before. Next, $500,000 is the Wa minimum 99.9% confinlevel because the totprobability of observing a number equto or lower ththis is greater th99.9%. The cret Vis then $500,000 - $1,682 = $498,318. 为什么WCL是500,000.00？

2021-04-04 17:22 1 · 回答

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